The orange warning banner with the padlock was added because there's a bogus LW update showing up in search results. It's a 75.7 KB .exe & shows up as "Urgent LW update - download & install now". If people download that thing they could end up infected. To try to prevent careless people from downloading a dangerous file, the warning banner was added to LW's interface.
The padlock symbol doesn't apply to music or video etc, only to LW updates